Consider the monthly simple returns of General Electric (GE) stock from January 1926 to December 2008 with 996 observations. You may download the data from CRSP or use the file m-ge2608.txt on the Web. Convert the returns into log returns in percentages. Build a TGARCH model with GED innovations for the series using \(a_{t-1}\) as the threshold variable with zero threshold, where \(a_{t-1}\) is the shock at time \(t-1\). Write down the fitted model. Is the leverage effect significant at the 5\% level?